Interdum stultus opportuna loquitur...

Monday, November 08, 2004

Sound and Fury... Signifying?

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I get steamed when stuff isn't right: just now I discovered that Reuters' datafeed for Equity Call Volume and Equity Put Volume differs from the CBOE's volume stats by a margin wider than the Grand Canyon.

It might be that the symbol I use (&ECV and &EPV respectively, in Reuters) are wrong, but they're called "Equity Call Option Volume" and "Equity Put Option Volume" respectively.

Regardless of nomenclature, they differ substantially in magnitude from the CBOE's numbers, and as such the resultant Put-Call Ratio based on them likewise differs.

To date it hasn't mattered a whole lot - but it pays to be watching the same ball as everybody else. (I only discovered it as I was adding the 10-day average of the Put-Call ratio to the Market Sentiment table; tomorrow I'll be upgrading the Marnet Internals table to include a 10-day MA of the Advance-Decline line)

Tonight's Pivots (US Market)

R2104311170.21540.83112 11/32
R1104151168.41536.17112 6/32
S1103671163.71525.67111 27/32
S2103351160.81519.83111 21/32

Economic Statistics

There was no data released, but I note with some interest that the bond auctions that occurred had pretty funky bid-to-cover ratios. They weren't bad as such, but just sort of "bleh".

Federal Reserve Open Market Operations

The Fed's Open Market Operations desk performed 1 repurchase operation last night:

  • a $11.25billion, overnight repurchase with $11.023billion in T-backed collateral.

Oddly enough, for the first time in a long while there was no accompanying "moonshot". Buying at 10 a.m. NY time on the strength of the repo didn't get anybody hurt, but with that amount of grease slopped onto the cogs you would have expected something a little bit more electrifying.

Major US Indices

What a boring session; sure enough there was a little opening orgasm, but it was certainly not one that would impress the whining cafe-cretins on Sex and the City.

The DJIA added 3.77 points (0.04%), closing out the day at 10391.31 points; the broader S&P500 shed 1.28 points (0.11%), to end the session at 1164.89.

The S&P futures were being used for most of the second half of the session to ensure that nothing untoward happened; any time the market went up or down by more than a few points, there was 990N slapping a couple of thousand units on the bid or offer, to keep the thing quiet.

The entire day's range in the S&P futures was only 5.25 points - for the last half of the session it meandered in a 2-point range, I kid you not.

Over at Times Square, the Nasdaq Composite gained 0.31 points (0.02%), to close at 2039.25, while larger-cap technology issues fared better with the Nasdaq100 adding 1.89 points (0.12%), to end at 1527.13 points.

NYSE Volume was about average, with 1.36 billion shares traded, while Nasdaq Volume was also average, with 1.61 billion shares changing hands.

Nasdaq Composite2039.250.310.02%
NYSE Volume1.36bn--
Nasdaq Volume1.61bn--
US 30-yr yld4.93%0.02%0.43%

Market Breadth & Internals

On the NYSE, declining issues beat out advancers by 2086 to 1264, for a single-day A/D reading of -822; it's very strange that there wasn't a bigger decline in the headline indices, given the size of the imbalance. Nasdaq losers exceeded gainers by 1680 to 1406 for a more stately -274.

On the NYSE declining volume was greater than volume in advancing issues by 744.64 to 594.5 million shares; Nasdaq advancing volume was greater than volume in decliners by 509.15 to 394.46 million shares.

170 NYSE-listed stocks rose to new 52-week highs, and 3 posted fresh 52-week lows, while on the Nasdaq there were 132 stocks that hit new 52-week highs, and 22 which fell to fresh 52-week lows

Advancing Volume (m)594.5509.15
Declining Volume (m)744.64394.46
New Highs170132
New Lows322

Market Sentiment

I'm in the process of building a fuller sentiment analysis "thingo", which will replace the table below eventually. Suffice it to say that everything points to a top in the process of being made -

  • VIX near a record low;
  • SPX/VIX above 80;
  • twice as many calls as puts being bought;
  • 10-day PCR in the low 60's.

Add that to a severely overbought market and widespread ebullience in other indicators (such as the IIAA Bull-Bear ratio) and it's clear that things are going to come unglued sooner rather than later.

I suggested in the last Rant that the ideal time to buy puts (over QQQ because they're so liquid and because QQQ mirrors the Nasdaq100 and so has a high beta) was 15 minutes after the open... that's about when the session high happened (QQQ hit its intraday high at 9:46 a.m. NY time).

At that time, QQQ was trading above $38, so the "one level down" put option was the $38 strike. The $38 November put (code QQQ WL) was trading at $45, so I will assume an entry price of $50.

CBOE Equity Call Volume (000)692.45-187.01-21.26%
CBOE Equity Put Volume (000)342.32-102.18-22.99%
CBOE Volatility Index13.8-0.04-0.29%
CBOE Nasdaq Volatility Index19.22-0.25-1.28%
Equity Put-Call Ratio0.49-0.01-2.19%
10-day PCR0.6-0.02-2.71%
SPX-VIX Ratio84.410.150.18%


Bonds fell along the curve, with the yield on the benchmark 30-year Treasury bond rising another 2.1 points to 4.93%. Much more of this and mortgage rates will start to rise.

Speaking of bonds falling, the ZB04Z (30year T-bond futures) short trade added another 9 ticks ($281.25 per contract) in gains; the TLT WK ($89 November puts over the Lehman 20-yearTreasury iShares) added $5 to $160 (they were acquired at $70 a week or so ago). So everything is proceeding OK...

UST 2Y (yld)2.7950.041.49%
UST 5Y (yld)3.5190.0511.47%
UST 10Y (yld)4.2160.040.93%
UST 30Y (yld)4.9310.0340.69%

The Banks Index lost 0.25 points (0.24%), ending the day at 102.2; within the index,

  • the Derivative King - JPMorganChase declined $0.07 (0.18%) closing at $39.28; and
  • Citigroup advanced $0.12 (0.26%) to end the session at $46.25

The Broker-dealer Index lost 2.52 points (1.77%), to 139.84; the ticket clippers lined up as follows -

  • Merrill Lynch lost $0.60 (1.06%) closing at $55.82
  • Morgan Stanley Dean Witter lost $0.82 (1.53%) closing at $52.93
  • Goldman Sachs slid $0.64 (0.63%) to $100.21
  • Lehman Brothers dipped $1.26 (1.49%) to $83.42

There was some interesting news in ticket-clipper-land, which reinforces my strong views about these parasites. The SEC announced that over a dozen brokerages - including ALL of the big names - were found to have executed trades at prices which deliberately disadvantaged cloents. In other words, they would 'pool' orders, then give them to a specialist after the brokerage had taken advantage of the known prices and "front run"... typical of these vermin.

The Philadelphia SOX (Semiconductor) index advanced 0.78 points (0.19%), closing at 418.61

  • Triquint added $0.04 (1.07%) to $3.77
  • Micron Technology gained $0.07 (0.59%) to $11.95
  • Intel dipped $0.13 (0.56%) closing at $23.23
  • Altera slid $0.21 (0.92%) to end the session at $22.64
  • JDS Uniphase dipped $0.00 (0%) to $3.16

Gold & Silver

After its recent gyrations (fro m$418 to $436 in the last few sessions), Gold had a breather, falling by $1.10 (0.25%) to $432.90 per ounce. The Gold Bugs Index lost 3.29 points (1.38%), at 235.07 points.

Silver fell by $0.04 (0.47%) to close at $7.47 per ounce. The Gold and Silver Index (XAU) lost 0.33 points (0.31%), closing at 106.53 points.

PHLX Gold and Silver Index106.53-0.33-0.31%
AMEX Gold BUGS Index235.07-3.29-1.38%


As US troops begin to perpettrate another series of war crimes (deliberately targetting civilian areas is illegal in international law, even if there are "insurgents" mingled with the population), the oil market seems to care very little. How odd; it's not as if extremists are going to ignore the US' Achilles' Heel and leave all the ppelines andtransport choke-points unhindered.

Still, a while ago I posted a chart thatshowed just how little the oil market had pulled back during its ascent, so this shakeout should do it some good.

Oil lost another $0.55 per barrel, closing at $49 per barrel. The Oil and Gas Index (XOI) declined 10.03 points (1.41%), at 702.08 points.

The Oil service stocks (OSX) Index declined 3.44 points (2.94%), at 113.45 points.

Reuters CRB283.50.50.18%
Crude Oil Light Sweet49-0.55-1.11%
AMEX Oil Index702.08-10.03-1.41%
Oil Service Index113.45-3.44-2.94%


After hitting a new all-time high of 1.2987,the Euro backed off and drifted down toward the 1.29 level. That was pretty much the whole story last night; all of the major currencies challeneged their highs against the beleaguered USD, but eventually gave up and wafted down a little.

Yet again, it's the "weight of numbers" idea... if every journalist on the planet is writing about the weak USD, then everyone is on the same side of the boat, and the market is ripe for a short (USD) squeeze. the USD index touched 83.85 last night, but it's ow so oversold that a bounce could very well occur before it hits my $82 target (posted some time ago).

US Dollar Index84.180.120.14%
Australian Dollar0.7575-0.0048-0.63%
Swiss Franc1.18130.0040.34%
Canadian Dollar0.83660.00170.2%

European Markets

France's benchmark CAC-40 Index slid 4 points (0.11%), closing at 3776.99; the German DAX-30 Index gained 5.39 points (0.13%), ending the day at 4068.97 points; and in the UK, the FTSE-100 Index shed 23.2 points (0.49%), to 4716.6 points.